Bringmann, Karl, Kolev, Pavel, Woodruff, David

We study the $\ell_0$-Low Rank Approximation Problem, where the goal is, given an $m \times n$ matrix $A$, to output a rank-$k$ matrix $A'$ for which $\|A'-A\|_0$ is minimized. Here, for a matrix $B$, $\|B\|_0$ denotes the number of its non-zero entries. This NP-hard variant of low rank approximation is natural for problems with no underlying metric, and its goal is to minimize the number of disagreeing data positions. We provide approximation algorithms which significantly improve the running time and approximation factor of previous work. For $k > 1$, we show how to find, in poly$(mn)$ time for every $k$, a rank $O(k \log(n/k))$ matrix $A'$ for which $\|A'-A\|_0 \leq O(k^2 \log(n/k)) \OPT$. To the best of our knowledge, this is the first algorithm with provable guarantees for the $\ell_0$-Low Rank Approximation Problem for $k > 1$, even for bicriteria algorithms. For the well-studied case when $k = 1$, we give a $(2+\epsilon)$-approximation in {\it sublinear time}, which is impossible for other variants of low rank approximation such as for the Frobenius norm. We strengthen this for the well-studied case of binary matrices to obtain a $(1+O(\psi))$-approximation in sublinear time, where $\psi = \OPT/\nnz{A}$. For small $\psi$, our approximation factor is $1+o(1)$.

Bringmann, Karl, Kolev, Pavel, Woodruff, David P.

We study the $\ell_0$-Low Rank Approximation Problem, where the goal is, given an $m \times n$ matrix $A$, to output a rank-$k$ matrix $A'$ for which $\|A'-A\|_0$ is minimized. Here, for a matrix $B$, $\|B\|_0$ denotes the number of its non-zero entries. This NP-hard variant of low rank approximation is natural for problems with no underlying metric, and its goal is to minimize the number of disagreeing data positions. We provide approximation algorithms which significantly improve the running time and approximation factor of previous work. For $k > 1$, we show how to find, in poly$(mn)$ time for every $k$, a rank $O(k \log(n/k))$ matrix $A'$ for which $\|A'-A\|_0 \leq O(k^2 \log(n/k)) \mathrm{OPT}$. To the best of our knowledge, this is the first algorithm with provable guarantees for the $\ell_0$-Low Rank Approximation Problem for $k > 1$, even for bicriteria algorithms. For the well-studied case when $k = 1$, we give a $(2+\epsilon)$-approximation in {\it sublinear time}, which is impossible for other variants of low rank approximation such as for the Frobenius norm. We strengthen this for the well-studied case of binary matrices to obtain a $(1+O(\psi))$-approximation in sublinear time, where $\psi = \mathrm{OPT}/\lVert A\rVert_0$. For small $\psi$, our approximation factor is $1+o(1)$.

Tropp, Joel A., Yurtsever, Alp, Udell, Madeleine, Cevher, Volkan

Several important applications, such as streaming PCA and semidefinite programming, involve a large-scale positive-semidefinite (psd) matrix that is presented as a sequence of linear updates. Because of storage limitations, it may only be possible to retain a sketch of the psd matrix. This paper develops a new algorithm for fixed-rank psd approximation from a sketch. The approach combines the Nystrom approximation with a novel mechanism for rank truncation. Theoretical analysis establishes that the proposed method can achieve any prescribed relative error in the Schatten 1-norm and that it exploits the spectral decay of the input matrix. Computer experiments show that the proposed method dominates alternative techniques for fixed-rank psd matrix approximation across a wide range of examples.

Parisi, Simone, Pirotta, Matteo, Restelli, Marcello

Many real-world control applications, from economics to robotics, are characterized by the presence of multiple conflicting objectives. In these problems, the standard concept of optimality is replaced by Pareto-optimality and the goal is to find the Pareto frontier, a set of solutions representing different compromises among the objectives. Despite recent advances in multi-objective optimization, achieving an accurate representation of the Pareto frontier is still an important challenge. In this paper, we propose a reinforcement learning policy gradient approach to learn a continuous approximation of the Pareto frontier in multi-objective Markov Decision Problems (MOMDPs). Differently from previous policy gradient algorithms, where n optimization routines are executed to have n solutions, our approach performs a single gradient ascent run, generating at each step an improved continuous approximation of the Pareto frontier. The idea is to optimize the parameters of a function defining a manifold in the policy parameters space, so that the corresponding image in the objectives space gets as close as possible to the true Pareto frontier. Besides deriving how to compute and estimate such gradient, we will also discuss the non-trivial issue of defining a metric to assess the quality of the candidate Pareto frontiers. Finally, the properties of the proposed approach are empirically evaluated on two problems, a linear-quadratic Gaussian regulator and a water reservoir control task.

Partially observable Markov decision processes (POMDPs) provide an elegant mathematical framework for modeling complex decision and planning problems in stochastic domains in which states of the system are observable only indirectly, via a set of imperfect or noisy observations. The modeling advantage of POMDPs, however, comes at a price -- exact methods for solving them are computationally very expensive and thus applicable in practice only to very simple problems. We focus on efficient approximation (heuristic) methods that attempt to alleviate the computational problem and trade off accuracy for speed. We have two objectives here. First, we survey various approximation methods, analyze their properties and relations and provide some new insights into their differences. Second, we present a number of new approximation methods and novel refinements of existing techniques. The theoretical results are supported by experiments on a problem from the agent navigation domain.